Publications Manuscripts

Work in Progress



Likelihood ratio testing in linear state space models: An application to dynamic stochastic general equilibrium models
joint with Y. Zhu.
Journal of Econometrics (2020), 218 (2), 561-586.

Asymmetry, Complementarities, and State Dependence in Federal Reserve Forecasts
joint with J. Caunedo, R. DiCecio, and M. Owyang.
Journal of Money, Credit and Banking (2020), 52 (1), 205-228.

Simulated Minimum Distance Estimation of Dynamic Models with Errors-in-Variables
joint with N. Gospodinov and S. Ng
Journal of Econometrics (2017), 200, 181-193.

Existence and Characterization of Conditional Density Projections
joint with G. Ragusa
Econometric Theory (2016), 32, 947-987.

Identification and Estimation of Nonparametric Transformation Models
joint with P-A. Chiappori and D. Kristensen.
Journal of Econometrics (2015), 188 (1), 22-39.

Measurement Errors in Dynamic Models
joint with S. Ng
Econometric Theory (2014), 30, 150-175.

A Test for Monotone Comparative Statics
joint with F. Ecehnique
In Structural Econometric Models (Advances in Econometrics, Volume 31), Edited by Choo, E. and M. Shum (2013), 183 232.

Quantile Prediction
Handook of Forecasting (2013), Vol. 2 , Ch. 17, 961 - 994, Elsevier [PDF]

Multivariate Forecast Evaluation and Rationality Testing
joint with M. Owyang.
The Review of Economics and Statistics, 94 (4), November 2012, 1066-1080.

Global Identification in Nonlinear Models with Moment Restrictions
Econometric Theory, 28 (4), (August 2012), 719-729.

What Goods Do Countries Trade? A Quantitative Exploration of Ricardo's Ideas
joint with A. Costinot and D. Donaldson.
The Review of Economic Studies, 79 (2), April 2012, 581-608.

Learning from a Piece of Pie
joint with P-A. Chiappori and O. Donni
The Review of Economic Studies, 79 (1), January 2012, 162-195.

Dynamic Identification of DSGE Models
joint with S. Ng
Econometrica, Vol. 79, No. 6 (November, 2011), 1995-2032
[PDF: Main Paper and PDF: Supplementary Material]
[Matlab Code: Main Paper and Matlab Code: Supplementary Material]

Semiparametric Estimation of Nonseparable Models: A Minimum Distance from Independence Approach
joint with A. Santos
The Econometrics Journal, Vol. 13 (2010), S28-S55.

Efficient Estimation in Dynamic Conditional Quantile Models
joint with Q. Vuong.
Journal of Econometrics, Vol.157, No. 2 (August 2010), 272-285.

Semiparametric Efficiency Bound in Time-Series Models for Conditional Quantiles
joint with Q. Vuong.
Econometric Theory, Vol. 26, Issue 2 (April 2010), 383-405.

Global Identification of the Semiparametric Box-Cox Model
Economics Letters, Vol. 104, No. 2 (August 2009), 53-56.

Testing Models with Multiple Equilibria by Quantile Methods
joint with F. Echenique.
Econometrica, Vol. 77, No. 4 (July 2009), 1281-1297.

Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss?
joint with G. Elliott and A. Timmermann.
Journal of the European Economic Association, Vol. 6, No. 1 (March 2008), 122-157.

Asymmetric Power Distribution: Theory and Applications to Risk Measurement
Journal of Applied Econometrics, Vol. 22, No. 5 (August 2007), 891-921.

Estimation and Testing of Forecast Rationality under Flexible Loss
joint with G. Elliott and A. Timmermann.
The Review of Economic Studies, Vol. 72, No. 4 (October 2005), 1107-1125.

Evaluation and Combination of Conditional Quantile Forecasts
joint with R.Giacomini.
Journal of Business and Economic Statistics, Vol. 23, No. 4 (October 2005), 416-431.

Quasi-Maximum Likelihood Estimation for Conditional Quantiles
Journal of Econometrics, Vol. 128, No. 1 (September 2005), 137-164.


Efficient Conditional Quantile Estimation: The Time Series Case
joint with Q. Vuong.
UCSD Working Paper Series 2006-10, October 2006

Consistent Estimation for Aggregated GARCH Processes
UCSD Working Paper Series 2001-08, May 2001.


A Perturbation Approach to Nonlinear Filtering: The Case of Stochastic Volatility
joint with N. Sizova.

On the Nonparametric Identification and Estimation of Multiple Choice Models
joint with P-A. Chiappori and Dennis Kristensen.

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